Its up to you. Ive tried them all but VGA has come out top in quality (a huge difference between VGA & HD Component, not so much between VGA & HDMI) - The main advantage of using HDMI is that audio is also carried in the same connection but if you are using a monitor thats pointless anyway
Personally I would go for VGA if that screen is all your going to use it on, HDMI if you might move to another TV as it might not have VGA (or like the TV downstairs at my house... it has VGA but no audio connectors!!!)
I got the HDMI cable on the 42" downstairs and the VGA on this Dell 24 Ultrasharp. Means I dont have to faff around with cables when I want to move my 360